The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article the normality assumption is tested (and clearly rejected) using time series of daily stock returns for 13 European securities markets. More importantly, four alternative...

The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article we test (and clearly reject) the normality assumption using time seriesof daily stock returns for thirteen European securities markets. More importantly, we fit to the data four...